PRILAGOĐAVANjE STANDARDNOG MODELA MONTE KARLO SIMULACIJE KARAKTERISTIKAMA TRŽIŠTA U NASTAJANjU

NIkola Z Radivojević; Miodrag Brzaković; Tomislav Despić

doi:10.5937/poseko10-12715

NIkola Z Radivojević Visoka tehnička škola strukovnih studija u Kragujevcu
Miodrag Brzaković Fakultet za primenjeni menadžment, ekonomiju i finansije, Beograd
Tomislav Despić Ministarstvo finansija RS, Beograd

DOI: https://doi.org/10.5937/poseko10-12715

Sažetak

SAŽETAK: Predmet istraživanja u radu jeste aplikativnost novog, u radu označenog kao kalibrirani model Monte Karlo simulacije za procenu tržišnog rizika na tržištima u nastajanju. U osnovi model predstavlja unapređenu verziju standardnog modela Monte Karlo simulacije. Unapređenje je postignuto inkorporiranjem Cornish-Fisher ekstenzije u standardni model, kako bi se standardni model Monte Karlo simulacije prilagodio karakteristikama tržištima u nastajanju. Glavni cilj rada jeste da se utvrdi da li predloženo rešenje doprinosi unapređenju aplikativnosti standardnog modela Monte Karlo simulacije. U tu svrhu u radu je izvršeno testiranje validnosti standrdnog modela i kalibriranog model na tržištima kapitala pet evropskih zemalja Srbije, Hrvatske, Grčke, Kipra i Rumunije, u kontekstu pravila za validaciju modela vrednosti pri riziku, koja su definisana od strane Bazelskog komiteta za superviziju banaka. Metodologija istraživanja podrazumeva primenu odgovarajuće kvantitativne analize, te primenu odgovarajućeg testa bezuslovnog i uslovnog pokrića i pokazatelja performansi modela. Rezultati istraživanja pokazuju da kalibrirani model Monte Karlo simulacije predstavlja značajno unapređenje standardnog modela Monte Karlo simulacije u pogledu validnosti procene tržišnog rizika na ispitanim tržištima.

Biografija autora

Miodrag Brzaković, Fakultet za primenjeni menadžment, ekonomiju i finansije, Beograd

doktor nauka

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